A fair portion of this will depend on your setting. In D&D, where demons appear on a regular basis, stone can turn into mud, mud into flesh, and druids into panthers... well, a large number of SCP-like concepts become "oh, it's Tuesday already?"
So first, you have to determine what your setting views as "normal". Horror games work best when real-world normal and the game's normal are close. This doesn't mean the setting has to be 1:1 reality, but it has to feel grounded, solid, and comprehensible. The movie "Alien" is a fantastic example. Establish normal for the PCs. Spend time building their routines, their habits, their lives. Have them solve a few unrelated, normal problems.
Then they encounter the Unusual Thing. It can appear benign - it probably should, at first - but it also should be a startling event. They'll want to learn more...
Secure. The PCs will want to get a handle on the item. They'll want to play with it and understand it.
Let's say, at a pawn shop, they find a radio with three dials "frequency", "X", and "Theta". There are marks in sharpie on the 2 unusual dials. The current setting makes it a normal radio, but adjusting the dials leads to some very anomalous results. These could be radio from different time periods, different dimensions, whatever keeps the players interested.https://www.youtube.com/watch?v=ss_eBop2PsI
The PCs will probably fiddle with it for a bit, and, assuming no plot hooks are generated by their speculation, leave it alone for a bit.
Unless they're genre saavy, they'll probably leave it unguarded.
When they come back, someone they know has vanished near the radio. The dials are set to a configuration that the PCs didn't try. Only the NCPs clothes are left behind. If they turn on the radio, the NPC can be heard but does not hear the PCs. Maybe they can hear other voices as well.
Gently lead the PCs back to the pawn shop, as they try to track down the previous owner and rescue the NPC friend.